The way it's long to achieve good hdr, or better say well-balanced tone mapping. Don't be discouraged, anyways you've chosen a difficoult test image, because HDR tecnique shouldn't be applyed strongly to open sky. Feel free to ask!

I am assuming you used a single jpg file. I only say this cause your sky has no depth which is a typical result of a single jpg. Keep at it, with time you will get a better understanding of how to take a good photo for HDR.

A good appraoch to understanding HDR is take several jpgs at different exposures times and then try tone mapping each individually. Once you get a little more comfortable with that try taking AEB photos and then merge. There is a lot to learn in HDR, capture, merging, and tone mapping with each being very complicated. I look forward to seeing your progress.